Preheat oven to 350 degrees F and line a 8 or 9-inch square baking pan with parchment paper so that it comes up the sides.
In a medium bowl, cream together the cheesecake layer ingredients on high until light, creamy and lump-free. Set aside.
Combine the chopped chocolate, butter and oil in a heat-proof bowl. Heat in microwave for 30 seconds and stir cook for another 30 seconds, or until melted and smooth. Allow to cool down. Add the brown sugar, granulated sugar, egg whites, buttermilk and vanilla to the melted chocolate. Whisk until well combined.
In a separate bowl, combine the flour, cocoa, baking powder and salt. Add to the chocolate mixture and stir until just incorporated. You don't want to overmix. Fold in the Milky Way chocolate bar pieces. Pour the batter into the prepared baking dish, reserving about 1/2 a cup of the batter. Top with the cheesecake layer and spread out evenly. Dollop with reserved chocolate batter. Using a wooden skewer or pairing knife, swirl the batters together to create a marbled design.
Bake for about 25 to 30 minutes or until the center has set. Remove from oven and allow to cool down completely before cutting. Cut into 9 pieces and serve.